Most ROMs are illegal to download (but I think not to own) as far as I know. I definitely know that a ROM of any product still available in retail is illegal to download, and a lot of products no longer available still have licensing agreements that prohibit ROM sharing. That said, EVERY NES/SNES/N64 ROM is, as far as I know, illegal to download, or definitely will be shortly, as the WII is going to have an online pay service allowing you to buy/download the old games to your WII system at around $5 a pop.